Bootstrap forecast of multivariate VAR models without using the backward representation Working Papers

authors

PASCUAL CANEIRO, LORENZO JOSE
RUIZ ORTEGA, ESTHER
FRESOLI, DIEGO EDUARDO

publisher

Universidad Carlos III de Madrid. Departamento de Estadística

publication date

2011

series title

UC3M Working papers. Statistics and Econometrics

full text

http://hdl.handle.net/10016/12411

series number

11-26

subjects

Statistics

keywords

non-gaussian var models; prediction cubes; prediction density; prediction regions; prediction ellipsoids; resampling methods